Definition: You are given a question on econometrics. Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships. You are also given 4 answer options (associated with "A", "B", "C", "D"), out of which only one is correct. You need to answer the question by selecting the correct option. You should only answer with the choice letter, not the whole answer.
Input: Consider the estimation of a GARCH-M model. If the data employed were a time-series of daily corporate bond percentage returns, which of the following would you expect the value of the GARCH-in-mean parameter estimate to be?
(A)Less than -1 (B)Between -1 and 0 (C)Between 0 and 1 (D)Bigger than 1

C